I too had the same problem you are describing. First make sure you get this version of the JRE [Link: java.sun.com]

Initially I got a different version thinking I had the correct one. Once I got this I just clicked on the .jar file and everything worked.

Another suggestion if you are still having the cmd prompt window problem. Open up a command prompt, go to the directory with the .jar file and type the following: java -jar NEOHacker0.7.jar
This worked for me as well.

Best of luck,
Stephen